On the distribution of the duration of negative surplus

Dickson, David C.M.; Reis, Alfredo D. Egídio dos

http://hdl.handle.net/10400.5/24479

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Authors

Dickson, David C.M.

Reis, Alfredo D. Egídio dos

Abstract(s)

In the classical risk model we allow the surplus process to continue if the surplus falls below zero. We consider the distributions of the duration of a single period of negative surplus and of the total duration of negative surplus. We derive explicit results where possible and show how to approximate these distributions.

Keywords

Ruin Theory Negative Surplus Severity of Ruin Failure Rate Recursive Calculation

URI

http://hdl.handle.net/10400.5/24479

Citation

Dickson, David C.M. and Alfredo D. Egídio dos Reis. (1995) "On the distribution of the duration of negative surplus." The University of Melboume : Centre for Actuarial Studies - Department of Economics. Research Paper Series Nº17/ 1995: pp. 1-19.